The former Coronation Street actress recently teamed up with Jon Culshaw for the eight-part BBC One series, which is currently airing on Saturday nights.
Stephenson has now told The Mirror that the idea stemmed back from their time on Comic Relief Does Fame Academy in 2005.
She explained: "I did a few impressions in the Fame Academy house in front of Jon and we really connected. It was his idea to do the show, and after I left Corrie he got in touch and it went from there.
"I feel so deeply flattered that he even wanted to work with me. It's really great fun, but I have been worried too. I've had many sleepless nights worrying about whether I'll be able to pull it off."
Stephenson earlier promised that she is not "cruel" to any celebrities on the programme.